Safari 14

Click "Bookmarks" in Safari menu bar and choose "Favorites".

Right click "Favorites" in the Sidebar, choose "Sort By" and then "Name".

Quote

To sort bookmarks in a bookmarks folder, Control-click the folder in the sidebar, then choose Sort By > Name or Sort By > Address. Address is the website URL.

For details:

https://support.apple.com/guide/safari/sort-alphabetize-rearrange-bookmarks-safari-ibrw462936b2/mac

Right click the Folder name in the Favorites bar , click Sort By and then" Name".

Ignore the previously posted version of answer.

For details:

https://support.apple.com/guide/safari/sort-alphabetize-rearrange-bookmarks-safari-ibrw462936b2/mac

ed_strickling...

"Safari 14: How do you sort the Favorites bar by name"

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You need to do so manually.

1. Go to: Bookmarks menu
2. Select: Edit Bookmarks...
3. Drag & Drop: the Bookmark to where it should be.